Stochastic Processes
Subtitle: Inference Theory
By: by M. M. Rao
Series: Mathematics and Its Applications -- 508; Mathematics and Its Applications -- 508
Publisher: Springer US
Published: 2000
Place of publication: Boston, MA
Language: eng
Format: [electronic resource] :
Number of pages: 645
ISBN-13: 9781441948328; 9781475765960
Subjects: Mathematics; Fourier analysis; Statistics; Distribution (Probability theory)
Description: This book presents a complete mathematical treatment of classical inference theory (Neyman-Pearson, Fisher, and Wald) from the point of using it in stochastic processes, including some generalizations. It includes detailed analysis of likelihood ratios for both Gaussian and several other classes (infinitely divisible, jump Markov, diffusion and additive). Both linear and nonlinear filtering (also for general nonquadratic criteria) are treated. The corresponding Kalman-Bucy filters for continuous parameter processes are presented. Consistency and limit distributions of estimations of biospectral densities of harmonizable processes are given. Audience: Researchers and graduate students working in mathematics, statistics, and systems and communication engineering.
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